MonteCarloSim

MonteCarloSim - Assets Class Asset 1 Asset 2 Asset 3 Asset...

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Assets Class Weight Random # Asset 1 11.99% 4.22% 0.51% 97.00 Asset 2 6.43% 7.18% 0.46% 52.00 Asset 3 12.11% 8.17% 0.99% 98.00 Asset 4 1.73% 11.75% 0.20% 14.00 Asset 5 3.21% 14.65% 0.47% 26.00 Asset 6 9.27% 4.71% 0.44% 75.00 Asset 7 4.94% 8.94% 0.44% 40.00 Asset 8 5.32% 8.63% 0.46% 43.00 Asset 9 1.73% 11.31% 0.20% 14.00 Asset 10 8.16% 13.69% 1.12% 66.00 Asset 11 12.36% 22.82% 2.82% 100.00 Asset 12 11.00% 16.47% 1.81% 89.00 Asset 13 11.74% 7.38% 0.87% 95.00 TOTAL 100.00% 10.78% Portfolio Std 8.58% Std= 1.35% 4.56% 5.18% 17.63% 15.12% 15.40% 12.32% 8.32% 7.39% 8.39% 30.80% 23.57% 7.01% Mean= 4.22% 7.18% 8.17% 11.75% 14.65% 4.71% 8.94% 8.63% 11.31% 13.69% 22.82% 16.47% 7.38% Year Asset 1 Asset 2 Asset 3 Asset 4 Asset 5 Asset 6 Asset 7 Asset 8 Asset 9 Asset 10 Asset 11 Asset 12 Asset 13 1 5.60% 12.15% 16.13% 30.55% 50.10% 12.47% 20.71% 11.45% 20.16% 27.44% 18.97% 15.01% -5.59% Correlation Matrix 2 5.41% 10.92% 13.14% 22.70% 41.58% 6.62% 16.97% 11.17% 22.69% 24.63% 26.49% 25.64% -0.05% Asset 1 Asset 2 Asset 3 Asset 4 Asset 5 Asset 6 Asset 7 Asset 8 Asset 9 Asset 10 Asset 11 Asset 12 Asset 13 3 5.20% 9.99% 12.77% 15.97% 31.97% -7.14% 5.41% 8.90% 23.62% 23.80% 25.94% 14.71% 2.20% Asset 1 1.000 0.129 0.092 0.475 0.472 0.019 0.086 -0.031 0.065 0.526 0.271 0.481 0.355 4 5.09% 9.99% 11.38% 11.05% 21.46% -7.73% 2.20% 5.15% 20.81% 18.12% 18.86% 15.46% -5.66% Asset 2 0.129 1.000 0.953 0.051 0.139 -0.234 -0.093 0.174 0.140 0.101 -0.227 -0.271 -0.171 5 4.88% 9.52% 10.78% 13.96% 20.05% -8.19% 2.58% 4.44% 19.44% 17.99% 18.07% 6.28% 0.04% Asset 3 0.092 0.953 1.000 -0.013 0.084 -0.301 -0.161 0.110 0.066 0.029 -0.240 -0.294 -0.146 6 4.68% 9.83% 12.40% 9.87% 15.85% -3.05% 3.94% 6.65% 18.73% 16.70% 16.74% 15.62% -2.78% Asset 4 0.475 0.051 -0.013 1.000 0.808 0.656 0.718 -0.085 0.404 0.714 0.471 0.485 0.084 7 4.57% 11.79% 14.17% 13.47% 18.56% -0.32% 7.37% 7.85% 17.42% 15.87% 19.19% 13.55% -6.64% Asset 5 0.472 0.139 0.084 0.808 1.000 0.565 0.776 0.206 0.600 0.838 0.607 0.529 0.014 8 4.39% 13.75% 15.64% 12.76% 17.38% -7.42% 3.08% 6.60% 16.43% 15.91% 19.29% 3.90% -8.27% Asset 6 0.019 -0.234 -0.301 0.656 0.565 1.000 0.892 -0.065 0.519 0.638 0.601 0.533 -0.033 9 4.18% 11.17% 14.05% 7.95% 10.55% 0.45% 4.71% 6.33% 16.00% 13.82% 16.00% 14.87% -5.39% Asset 7 0.086 -0.093 -0.161 0.718 0.776 0.892 1.000 0.159 0.624 0.702 0.620 0.449 -0.086 10 3.97% 10.46% 13.23% 11.01% 12.45% -6.78% 1.31% 5.75% 16.38% 12.42% 22.22% 11.79% -6.75% Asset 8 -0.031 0.174 0.110 -0.085 0.206 -0.065 0.159 1.000 0.449 0.163 0.132 0.010 -0.015 11 3.77% 8.40% 10.51% 9.94% 10.81% -12.90% -2.43% 5.33% 16.75% 12.95% 17.95% 13.42% -6.74% Asset 9 0.065 0.140 0.066 0.404 0.600 0.519 0.624 0.449 1.000 0.745 0.534 0.375 -0.313 12 3.61% 10.03% 9.32% 18.43% 21.08% -7.78% 5.10% 7.01% 17.26% 16.11% 30.89% 7.96% -4.74% Asset 10 0.526 0.101 0.029 0.714 0.838 0.638 0.702 0.163 0.745 1.000 0.791 0.672 0.015 13 3.50% 8.82% 7.58% 7.67% 11.92% -11.84% -1.08% 6.45% 16.71% 14.89% 30.74% 10.74% -4.26% Asset 11 0.271 -0.227 -0.240 0.471 0.607 0.601 0.620 0.132 0.534 0.791 1.000 0.699
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This note was uploaded on 12/10/2011 for the course FNBU 3432 taught by Professor Yang during the Spring '10 term at Bentley.

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MonteCarloSim - Assets Class Asset 1 Asset 2 Asset 3 Asset...

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